Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0075
Annualized Std Dev 0.1797
Annualized Sharpe (Rf=0%) -0.0419

Row

Daily Return Statistics

Close
Observations 4671.0000
NAs 1.0000
Minimum -0.1284
Quartile 1 -0.0034
Median 0.0006
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0039
Maximum 0.3274
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0004
Variance 0.0001
Stdev 0.0113
Skewness 4.5527
Kurtosis 174.0375

Downside Risk

Close
Semi Deviation 0.0077
Gain Deviation 0.0101
Loss Deviation 0.0095
Downside Deviation (MAR=210%) 0.0124
Downside Deviation (Rf=0%) 0.0077
Downside Deviation (0%) 0.0077
Maximum Drawdown 0.5659
Historical VaR (95%) -0.0130
Historical ES (95%) -0.0251
Modified VaR (95%) NA
Modified ES (95%) -0.1975
From Trough To Depth Length To Trough Recovery
2007-05-04 2008-12-15 NA -0.5659 3495 409 NA
2002-09-30 2004-05-10 2005-07-26 -0.1639 711 406 305
2005-12-30 2006-06-27 2006-10-03 -0.1104 191 123 68
2005-09-27 2005-10-31 2005-12-29 -0.0501 66 25 41
2006-12-05 2007-01-25 2007-03-16 -0.0409 69 34 35

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2002 NA NA NA NA NA NA NA 0 0 0.1 0.8 0.2 1.2
2003 0 0.9 1 1.4 0.3 0.5 0.9 0.5 1.2 0.7 0.1 0.7 8.6
2004 0.8 0.8 0.4 0.4 0.1 1.6 0.8 0 -0.1 -0.4 0.4 -0.1 4.6
2005 0.3 0.3 1 0.3 0.5 -1.8 -0.2 -0.9 0.1 0.2 0.6 -0.8 -0.4
2006 0.3 -0.1 0.4 1.1 0.9 0.9 0.3 0.3 -0.1 0.1 0.7 0.3 5.1
2007 0.2 -0.3 0.1 0.1 0.1 0.5 0.6 0 -0.1 0.2 0.9 0.4 2.7
2008 -1 -1.6 0.4 0.4 -1.1 1.1 -0.2 1 0.5 -3.9 -2.5 4.2 -2.8
2009 1 1.2 0.9 1.5 -2.5 0.4 3.6 0.7 1 -2 -0.6 -0.2 5.1
2010 1.2 1 0.1 -0.2 -0.8 0.5 0.4 -0.3 0.1 -0.3 -1.7 2 2.1
2011 1.3 -0.6 0.7 0.5 -0.1 -0.3 3.1 -0.2 0.8 0.3 0.2 -1.1 4.8
2012 0 1.1 0.6 -0.2 -0.8 -0.4 -0.9 0.1 0.6 0.4 1 0.4 2
2013 0.3 0 -0.1 0.1 -1.7 0.6 -0.7 -0.1 -0.8 -1.5 -0.2 -1.7 -5.8
2014 -0.2 0.3 -0.2 0.9 -0.2 -0.1 -0.1 0.3 0.6 -0.6 -0.2 0.2 0.8
2015 0.8 -0.1 -0.5 -1.1 0 0.2 0 -0.2 0.7 0.5 0.4 0 0.8
2016 -0.1 -0.2 0.2 0.4 0.1 0.6 -0.6 0.2 0.4 0.6 -2 0 -0.4
2017 -0.1 -0.8 0.2 -0.1 0 0.2 0.8 0 -0.4 0 0.2 0.2 0.3
2018 -0.2 0.3 0.1 0.2 -0.5 0.2 0.5 0.1 -1.1 -0.1 -0.4 1.1 -0.1
2019 0.3 1.5 -0.2 0.3 -0.1 -0.4 0.5 0.2 -0.2 -0.1 0.2 0.5 2.5
2020 0 -0.8 -2.5 -0.1 -0.3 0.6 0.2 0.3 -0.6 0 0.7 1 -1.6
2021 0.1 -0.3 0.1 NA NA NA NA NA NA NA NA NA -0.2

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart